The survey's Aggregate Credit Default Outlook index for the next 12 months dropped to -82.3 in the second-quarter survey, falling from -58 in the previous quarter. A negative number indicates credit conditions are expected to worsen, while positive numbers mean conditions are expected to improve.
Som-lok Leung, IACPM's executive director, said in a phone interview Wednesday that while the pessimism is global in nature, anecdotally managers expect defaults to rise in Europe before the end of the year, while defaults in the U.S. are expected to rise sometime during 2023.
"U.S. firms have had a lot of liquidity," Mr. Leung said. "That doesn't disappear overnight."
By region, Europe's Aggregate Credit Default Outlook index remained the lowest among all regions due to its proximity to the crisis in Ukraine, plummeting to -91.2 from -76.7 in the first quarter. North America's index dropped to -88.9 from -53.7; Asia fell to -82.6 from -52; and Australia's index dropped to -71.4 from -47.4.
Survey respondents also forecast wider credit spreads over the next three months, with pessimism even rising for investment-grade fixed income, particularly in North America, where that index reading fell to -69 from -28.9 in the first quarter. The index reading for European investment-grade fixed income fell to -63.3 from -50.
The index reading for North American high-yield debt dropped to -78.6 from -62.2 in the first quarter, while the index reading for European high-yield debt remained at -69.
The survey is conducted among IACPM members, who are credit portfolio managers at more than 100 financial institutions in the U.S., Europe, Asia, Africa and Australia.